About the Journal

"The Journal of Financial Econometrics is well situated to become the premier journal in its field. It has started with an excellent first year and I expect many more."

Robert Engle, Nobel Prize in Economics 2003, Stern School of Business, NYU

"Financial econometrics is one of the greatest on going success stories of recent decades, and the Journal of Financial Econometrics has emerged quickly as the definitive journal of record. It is beautifully poised to continue the fine tradition that it has established, leading the charge in the ongoing development of the econometrics of financial markets."

Francis X. Diebold, University of Pennsylvania

Financial econometrics has become one of the most active areas of research in econometrics. The Journal of Financial Econometrics is dedicated to this fast-growing field. The Journal addresses substantive statistical issues raised by the tremendous growth of the financial industry over the last decades. The goal of the Journal is to reflect and advance the relationship between econometrics and finance, both at the methodological and at the empirical levels.

The Journal's scope encompasses the themes that animate the field today. Estimation, testing, learning, prediction and calibration in the framework of asset pricing or risk management represent the core focus. More specifically, the scope includes topics relating to volatility processes, continuous-time processes, dynamic conditional moments, extreme values, long memory, dynamic mixture models, endogenous sampling, transaction data, and microstructure of financial markets. Methodological issues associated with the econometrics of experimental and behavioral finance are also of interest.

Book reviews will occasionally be published, as will special issues on a single theme.

IMPACT FACTOR AND RANKINGS

Year

Impact Factor

Ssi: Business, Finance

Ssi: Economics

2013

1.163

29 out of 89

106 out of 332

2012

0.976

2011

1.175

25 out of 86

97 out of 320

2010

0.846

30 out of 74

131 out of 304

2009

0.897

26 out of 52

102 out of 245

Abstracting and Indexing Services

Journal of Financial Econometrics is covered by the following abstracting/indexing services: